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Liquidity and crude oil prices: China's influence over 1996-2011

Citation

Ratti, RA and Vespignani, J, Liquidity and crude oil prices: China's influence over 1996-2011, Economic Modelling, 33 pp. 517-525. ISSN 0264-9993 (2013) [Refereed Article]

Copyright Statement

Copyright 2013 Elsevier B.V. All rights reserved.

DOI: doi:10.1016/j.econmod.2013.04.037

Abstract

Movement in China's money supply is shown to drive the movement in world money supply over the last fifteen years. Structural shocks to G3 (U.S., Eurozone and Japan) real M2 and to China's real M2 are both large over 1996:1-2011:12. The cumulative impact of real G3 M2 shocks on real oil prices is small and statistically insignificant. In contrast, the cumulative impact of China's real M2 on the real price of crude oil is large and statistically significant. Following a sharp fall in real oil price in the last half of 2008, the cumulative impact of China's real M2 on the real price of crude oil is particularly substantial in the recovery of oil price during 2009 from a low of $41.68 for January 2009. The analysis sheds light on the causes of movement in oil prices over the last fifteen years and in assessing the relative importance of China in the upsurge of the real price of crude oil. © 2013 Elsevier B.V.

Item Details

Item Type:Refereed Article
Keywords:oil price; China's global influence; oil price and liquidity
Research Division:Economics
Research Group:Applied Economics
Research Field:Financial Economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Vespignani, J (Dr Joaquin Vespignani)
ID Code:85018
Year Published:2013
Web of Science® Times Cited:7
Deposited By:Economics and Finance
Deposited On:2013-06-11
Last Modified:2014-12-20
Downloads:0

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